TY  - BOOK
AU  - Hirsch,Francis
AU  - Profeta,Christophe
AU  - Roynette,Bernard
AU  - Yor,Marc
ED  - SpringerLink (Online service)
TI  - Peacocks and Associated Martingales, with Explicit Constructions
T2  - B&SS — Bocconi & Springer Series,
SN  - 9788847019089
AV  - QA273.A1-274.9 
U1  - 519.2 23
PY  - 2011///
CY  - Milano
PB  - Springer Milan
KW  - Mathematics
KW  - Economics, Mathematical
KW  - Probabilities
KW  - Probability Theory and Stochastic Processes
KW  - Quantitative Finance
N1  - Some Examples of Peacocks -- The Sheet Method -- The Time Reversal Method -- The Time Inversion Method -- The Sato Process Method -- The Stochastic Differential Equation Method -- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals
N2  - We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings… They are developed in eight chapters, with about a hundred of exercises
UR  - http://dx.doi.org/10.1007/978-88-470-1908-9
ER  -